Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Endeavour Group Ltd backtest
10 trend-following strategies were compared on the full daily history of Endeavour Group Ltd. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.8%, MDD -6.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -11.9%, drawdown -65.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.8%, MDD -6.8%, Sharpe 0.18, 1% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 59.1%p (CAGR -0.8%, MDD -6.8%, exposure 1%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=2.8 |
0.8% | -6.8% | 0.18 | 0.12 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=78, slow=184 |
0.3% | -19.4% | 0.08 | 0.02 | 1.0x | 2 | 13% |
| ADX / DI 방향성 period=15, threshold=35 |
-0.8% | -14.7% | -0.07 | -0.05 | 1.0x | 8 | 4% |
| ROC 모멘텀 n=142, threshold=0.05 |
-1.7% | -13.9% | -0.17 | -0.12 | 0.9x | 12 | 8% |
| SMA 크로스오버 fast=50, slow=200 |
-2.5% | -21.2% | -0.20 | -0.12 | 0.9x | 4 | 13% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=3.2 |
-0.8% | -6.8% | -0.38 | -0.12 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-8.1% | -51.3% | -0.41 | -0.16 | 0.6x | 40 | 42% |
| Supertrend period=13, mult=4.7 |
-8.1% | -44.7% | -0.52 | -0.18 | 0.6x | 18 | 29% |
| Donchian 채널 돌파 entryN=49, exitN=12 |
-6.0% | -33.7% | -0.52 | -0.18 | 0.7x | 14 | 16% |
| MACD fast=14, slow=58, signal=15 |
-12.0% | -60.9% | -0.65 | -0.20 | 0.5x | 60 | 51% |
| Buy and hold | -11.9% | -65.9% | -0.41 | -0.18 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 11-day middle average